Alumina protective coatings were made on steel samples by pulsed laser deposition. Improvement of the thermal shock resistance of the steel is the main purpose of such a steel coating. The adhesion of the aluminum oxide thin layer on the steel base was increased by a whole new technique. Thus, microdimensional holes were done in the coating by a pulsed Nd:YAG laser. The characteristics of the laser and the geometry of the experiment were analyzed and they were chosen and used in order to have a cylindrical shape of the holes and also with the purpose that the laser spot would reach the steel substrate. Thus, small columns of steel emerged through the holes, reinforcing the coatings.